Trading forex is no more risky than any other trading vehicle if you scale back the leverage. Leverage is a killer, especially if you're new. In fact, the Australian Dollar (AUD/USD) is a pretty good proxy for the Dow, and not that much different to trade. The two are highly correlated right now.
So the question, to me, is not about forex at all, but about trading in general. We all have the same information, access to the same platforms and indicators, etc. Aside from some obvious drawbacks that we can do nothing about, like being under-funded, I would say most people can't stay in the game long enough to learn the game. None of us like to be wrong, so we place blame elsewhere. There is a real hesitancy to address the real issues of the responsibility of trading. Not many stay in the game long enough to learn that the real issues are not with your trading platform or indicators (there are literally hundreds, if not thousands of workable trading systems and indicators), but rather within the individual.
Assuming you learn something first and don't just start trading with abandon, assuming you develop a Trading Plan, use good risk and money management, it is still probable you will fail. We're not talking about a childish approach to trading like most of the reasons given here (we know an ignorant childish person will lose), but rather doing everything in your power to learn to be a trader. The number one reason 90% of traders fail? We're talking about some really smart people that will never become traders -- because trading is 100% psychological.
You will think that learning more and working harder will fix it, like in any other J-O-B, but it doesn't work that way in trading. It takes guts as much as brains to adhere to discipline. You go through your entire life being schooled to be correct. In trading you have to throw that out the window quick.
Certainty is predicated on a myth. Certainty can never really be had in life. Why? Because certainty can only come into being when the future is fully known. People don’t realize either that all a trader can really hope for is a superb ability to assess the odds of being right. That’s all, and we have to learn to live with that. It is a fruitless activity from which there can be no rest, for it will never end. Paradoxically, peace and clarity of mind can only come into being when one realizes that “certainty” cannot be achieved. Tomorrow can never be known. Otherwise we are inviting a future that is wrought with failure, disappointment, and dismay.
Most traders we speak with have learning curves that have cost them between $15,000 and $70,000 and up to two years in time. Most people don't have that much money to lose, or that much time to learn.